Class ResolvedCapitalIndexedBond

  • All Implemented Interfaces:
    ResolvedProduct, java.io.Serializable, Bean, ImmutableBean

    public final class ResolvedCapitalIndexedBond
    extends java.lang.Object
    implements ResolvedProduct, ImmutableBean, java.io.Serializable
    A capital indexed bond.

    This is the resolved form of CapitalIndexedBond and is an input to the pricers. Applications will typically create a ResolvedCapitalIndexedBond from a CapitalIndexedBond using CapitalIndexedBond.resolve(ReferenceData).

    The periodic coupon payments are defined in periodicPayments, whereas nominalPayment separately represents the nominal payments.

    The legal entity of this bond is identified by legalEntityId. The enum, yieldConvention, specifies the yield computation convention. The accrued interest must be computed with dayCount.

    A ResolvedCapitalIndexedBond is bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

    Price

    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
    See Also:
    Serialized Form
    • Method Detail

      • getStartDate

        public java.time.LocalDate getStartDate()
        Gets the start date of the product.

        This is the first coupon period date of the bond, often known as the effective date. This date has been adjusted to be a valid business day.

        Returns:
        the start date
      • getEndDate

        public java.time.LocalDate getEndDate()
        Gets the end date of the product.

        This is the last coupon period date of the bond, often known as the maturity date. This date has been adjusted to be a valid business day.

        Returns:
        the end date
      • getUnadjustedStartDate

        public java.time.LocalDate getUnadjustedStartDate()
        The unadjusted start date.

        This is the unadjusted first coupon period date of the bond.

        Returns:
        the unadjusted start date
      • getUnadjustedEndDate

        public java.time.LocalDate getUnadjustedEndDate()
        The unadjusted end date.

        This is the unadjusted last coupon period date of the bond.

        Returns:
        the unadjusted end date
      • getCurrency

        public Currency getCurrency()
        Gets the currency of the product.

        All payments in the bond will have this currency.

        Returns:
        the currency
      • getNotional

        public double getNotional()
        Gets the notional amount, must be positive.

        The notional expressed here must be positive. The currency of the notional is specified by getCurrency().

        Returns:
        the notional amount
      • hasExCouponPeriod

        public boolean hasExCouponPeriod()
        Checks if there is an ex-coupon period.
        Returns:
        true if has an ex-coupon period
      • getFirstIndexValue

        public double getFirstIndexValue()
        Gets the first index value

        This is the price index value at the start of the bond.

        Returns:
        the first index value
      • findPeriod

        public java.util.Optional<CapitalIndexedBondPaymentPeriod> findPeriod​(java.time.LocalDate date)
        Finds the period that contains the specified date.

        The search is performed using unadjusted dates.

        Parameters:
        date - the date to find the period for
        Returns:
        the period, empty if not found
        Throws:
        java.lang.IllegalArgumentException - if more than one period matches
      • findPeriodIndex

        public java.util.OptionalInt findPeriodIndex​(java.time.LocalDate date)
        Finds the period that contains the specified date.

        The search is performed using unadjusted dates.

        Parameters:
        date - the date to find the period for
        Returns:
        the period, empty if not found
        Throws:
        java.lang.IllegalArgumentException - if more than one period matches
      • yearFraction

        public double yearFraction​(java.time.LocalDate startDate,
                                   java.time.LocalDate endDate)
        Calculates the year fraction within the specified period.

        Year fractions on bonds are calculated on unadjusted dates.

        Parameters:
        startDate - the start date
        endDate - the end date
        Returns:
        the year fraction
        Throws:
        java.lang.IllegalArgumentException - if the dates are outside the range of the bond or start is after end
      • yearFraction

        public double yearFraction​(java.time.LocalDate startDate,
                                   java.time.LocalDate endDate,
                                   DayCount dayCount)
        Calculates the year fraction within the specified period and day count.

        Year fractions on bonds are calculated on unadjusted dates.

        Parameters:
        startDate - the start date
        endDate - the end date
        dayCount - the day count
        Returns:
        the year fraction
        Throws:
        java.lang.IllegalArgumentException - if the dates are outside the range of the bond or start is after end
      • calculateSettlementDateFromValuation

        public java.time.LocalDate calculateSettlementDateFromValuation​(java.time.LocalDate valuationDate,
                                                                        ReferenceData refData)
        Calculates the settlement date from the valuation date.
        Parameters:
        valuationDate - the valuation date
        refData - the reference data to use
        Returns:
        the settlement date
      • accruedInterest

        public double accruedInterest​(java.time.LocalDate referenceDate)
        Calculates the accrued interest of the bond with the specified date.
        Parameters:
        referenceDate - the reference date
        Returns:
        the accrued interest of the product
      • getSecurityId

        public SecurityId getSecurityId()
        Gets the security identifier.

        This identifier uniquely identifies the security within the system.

        Returns:
        the value of the property, not null
      • getNominalPayment

        public CapitalIndexedBondPaymentPeriod getNominalPayment()
        Gets the nominal payment of the product.

        The payment date of the nominal payment agrees with the final coupon payment date of the periodic payments.

        Returns:
        the value of the property, not null
      • getPeriodicPayments

        public com.google.common.collect.ImmutableList<CapitalIndexedBondPaymentPeriod> getPeriodicPayments()
        Gets the periodic payments of the product.

        Each payment period represents part of the life-time of the product. The start date and end date of the leg are determined from the first and last period. As such, the periods should be sorted.

        Returns:
        the value of the property, not null
      • getFrequency

        public Frequency getFrequency()
        Gets the frequency of the bond payments.

        This must match the frequency used to generate the payment schedule.

        Returns:
        the value of the property, not null
      • getRollConvention

        public RollConvention getRollConvention()
        Gets the roll convention of the bond payments.

        This must match the convention used to generate the payment schedule.

        Returns:
        the value of the property, not null
      • getDayCount

        public DayCount getDayCount()
        Gets the day count convention applicable.

        The conversion from dates to a numerical value is made based on this day count. For the inflation-indexed bond, the day count convention is used to compute accrued interest.

        Returns:
        the value of the property, not null
      • getYieldConvention

        public CapitalIndexedBondYieldConvention getYieldConvention()
        Gets yield convention.

        The convention defines how to convert from yield to price and inversely.

        Returns:
        the value of the property, not null
      • getLegalEntityId

        public LegalEntityId getLegalEntityId()
        Gets the legal entity identifier.

        This identifier is used for the legal entity that issues the bond.

        Returns:
        the value of the property, not null
      • getSettlementDateOffset

        public DaysAdjustment getSettlementDateOffset()
        Gets the number of days between valuation date and settlement date.

        This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.

        Returns:
        the value of the property, not null
      • getRateCalculation

        public InflationRateCalculation getRateCalculation()
        Gets the inflation rate calculation.

        The reference index is interpolated index or monthly index. Real coupons are represented by gearing in the calculation. The price index value at the start of the bond is represented by firstIndexValue in the calculation.

        Returns:
        the value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object